Course Details in

Module Title	LM Further Mathematical Finance
School	Mathematics
Department	Mathematics
Module Code	06 21429
Module Lead	Prof Stephen Decent
Level	Masters Level
Credits	10
Semester	Semester 2
Pre-requisites
Co-requisites
Restrictions	MSc Mathematical Finance (optional module for all students); All MSci undergraduate programmes involving Mathematics
Contact Hours	Lecture-23 hours Tutorial-5 hours Total: 28 hours
Exclusions
Description	To introduce the student to the pricing of more advanced derivative products in Mathematical Finance, and to examine more advanced solution methods. Advanced derivative products of the kind often used in reality will be examined in more detail. This will include examining options not considered previously, but also looking in more detail at derivative products already studied in the Mathematical Finance module. This may include topics such as: energy, weather and insurance derivatives; credit derivatives; market crashes; multi-asset options; interest rate derivatives. More advanced numerical methods for the solution of option pricing problems will also be examined. This module should better prepare students for a career in Mathematical Modelling in Finance, including a broader background in the trading of derivatives and options.
Learning Outcomes	By the end of the module the student should be able to: demonstrate knowledge and understanding of advanced mathematical models in Mathematical Finance; solve mathematical problems in the pricing of various derivative products; explore these topics beyond the taught syllabus.
Assessment	21429-01 : Raw Module Mark : Coursework (100%)
Assessment Methods & Exceptions	90% based on a 1.5 hour written examination in the Summer Term; 10% based on work during term-time.
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